It's somewhat wellknown that Android doesn't close things efficiently. Consider that the Android OS up until recently was meant to work on phones. And the NOOK native reader and software is layered kind of on top of it.
I've had multiple windows open on mine and not gotten that message, but I think it can depend on what is open on each or it may be that it just limits the number you have open in order to not cause other problems.
I don't remember the NC allowing you to have multiple browser windows open at the same time, but I could be wrong. I know the NT does.
You also do need to power off completely every so often and I think if using sideloaded apps at all, this is really important.
Edit: well, on mine I was able to have at least 6 open windows. I didn't try more. I don't have any sideloaded apps or any such thing.